Measure Theory and Stochastic Integration
5 credits
Syllabus, Master's level, 1MA051
This course has been discontinued.
A revised version of the syllabus is available.
- Code
- 1MA051
- Education cycle
- Second cycle
- Main field(s) of study and in-depth level
- Financial Mathematics A1F, Mathematics A1F
- Grading system
- Pass with distinction (5), Pass with credit (4), Pass (3), Fail (U)
- Finalised by
- The Faculty Board of Science and Technology, 15 December 2008
- Responsible department
- Department of Mathematics
Entry requirements
120 credit points including Measure and Integration Theory I
Learning outcomes
In order to pass the course (grade 3) the student should
Content
Brownian motion. Stochastic integration. Ito's formula. Continuous martingales. The representation theorem for martingales. Stochastic differential equations. Diffusion processes. Girsanov's representation theorem. Applications from selected areas.
Instruction
Lectures and problem solving sessions.
Assessment
Written and, possibly, oral examination at the end of the course. Moreover, compulsory assignments may be given during the course.
Reading list
- Reading list valid from Spring 2021
- Reading list valid from Autumn 2020
- Reading list valid from Spring 2019, version 2
- Reading list valid from Spring 2019, version 1
- Reading list valid from Autumn 2013
- Reading list valid from Autumn 2012, version 2
- Reading list valid from Autumn 2012, version 1
- Reading list valid from Autumn 2010
- Reading list valid from Autumn 2009
- Reading list valid from Autumn 2008
- Reading list valid from Autumn 2007